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Date/Time: Sat, 21 Apr 2018 15:23:10 +0000



Post From: Offering To The Community: Custom Stock Index Creator

[2016-12-11 01:24:00]
Neo - Posts: 191
Thanks for your contributions Brett, your work is much appreciated. Some of the offerings in your toolkit have been useful to me.

I am wondering if it is possible to adapt your custom stock index so that it calculates the % of stocks in a chartbook currently trading ABOVE/BELOW their daily VWAPs. So this could be setup over a custom universal of stocks, or on a common universe eg Nasdaq100

% of stocks currently trading above VWAP is a popular metric amongst equities prop shops.

I am currently calculating this using a spreadsheet study, where a TRUE value is given to each stock if the last trade price was greater than it's daily VWAP, and then the SUM of all TRUE values is used to calculate the %. The spreadsheet study is restricted by the number of columns, so it's only really useful for looking at real-time values, and not historical values( at least not over 100 stocks)

The premise is that looking back over historical % values you could determine if there was a correlation between your signals that outputted winning/losing trades, and your custom index relative to its % ABOVE/BELOW VWAP. So % of stocks ABOVE/ BELOW VWAP could act as an alpha factor, helping to separate noise from a true signal.

If this is something you could adapt I would be willing to pay you for it.